1月26日信用债异常成交跟踪：根据Wind数据，折价成交个券中，“21福新01”债券估值价格

本报告版权属于国投证券股份有限公司，各项声明请参见报告尾页。 1 2024年1月26日 1月26日信用债异常成交跟踪 定期报告 根据Wind数据，折价成交个券中，“21福新01”债券估值价格偏离幅度较大。净价上涨成交个券中，“21金地03”估值价格偏离程度靠前。净价上涨成交二永债中，“22江西银行永续债01”估值价格偏离幅度较大；净价上涨成交商金债中，“23顺德农商小微债02”估值价格偏离幅度靠前。成交收益率高于10%的个券中，地产债排名靠前。 信用债估值收益变动主要分布在[-5,0)区间。非金信用债成交期限主要分布在0.5年内，其中0.5年内品种折价成交占比最高；二永债成交期限主要分布在2至3年，其中1年内品种折价成交占比最高。分行业看，电力设备行业的债券平均估值价格偏离最大。 风险提示：统计出现遗漏，高估值个券出现信用风险。 证券研究报告 尹睿哲 分析师 SAC执业证书编号：S1450523120003 李豫泽 分析师 SAC执业证书编号：S1450523120004 相关报告 固定收益研究 本报告版权属于国投证券股份有限公司，各项声明请参见报告尾页。 2 表1：折价成交跟踪 简称剩余期限(年)估值价格偏离(%)估值净价（元）估值收益率偏离(bp)估值收益率(%)前一日估值收益率(%)隐含评级主体评级行业成交规模（万元）21福新012.00-19.3580.6526.732.722.45AA+AAA城投2590320不动Y11.28-0.6983.3369.2720.4819.79AA-AAA社会服务60022青岛世园PPN0011.00-0.20100.8220.144.153.95AA-AA+城投1808521青岛世园PPN0010.80-0.15100.6519.344.113.92AA-AA+城投702223世园D20.77-0.15100.4719.304.113.92AA-AA+城投201922世园020.74-0.14100.6019.294.113.92AA-AA+城投200822青岛世园PPN0021.39-0.13100.349.914.324.22AA-AA+城投200321青世020.62-0.12100.0719.294.113.92AA-AA+城投2396823世园D10.34-0.11100.8228.804.083.79AA-AA+城投1407921青世010.50-0.10100.1519.274.103.91AA-AA+城投2199823平安点创MTN0011.63-0.09100.415.663.923.87AAAA+非银金融401524昌阳投资PPN0011.98-0.07100.143.863.433.39AA(2)AA+社会服务500523青莱011.11-0.07103.615.383.133.07AA(2)AA+城投206722筑城011.77-0.07105.853.443.323.28AA-AAA城投211723盐湖012.80-0.06100.622.264.264.23AA-AA城投198623青岛世园MTN0010.12-0.05100.2833.453.703.36AA-AA+城投1604223世园010.13-0.05100.2233.324.053.71AA-AA+城投500622世园010.14-0.05100.0533.074.053.72AA-AA+城投200123铜仁023.86-0.0599.941.407.016.99AA-AA城投5023开乾V24.67-0.05105.241.105.785.77AA-AA城投61822巴中010.16-0.05100.3722.544.604.37AA-AA城投17024长寿开投PPN0014.99-0.0497.300.965.025.01AA-AA+城投4477721安租021.96-0.03100.841.703.253.23AA+AAA非银金融5248022海通恒信MTN0021.33-0.03100.852.122.752.73AA+AAA非银金融100922青莱010.57-0.03100.664.283.063.02AA(2)AA+城投100722兴业资产MTN0021.25-0.03100.672.173.043.02AA+AAA非银金融40321恒信G21.39-0.03100.781.952.782.76AA+AAA非银金融20122兴业资产MTN0011.23-0.03100.842.143.033.01AA+AAA非银金融201723弘创租赁PPN0011.25-0.03100.422.013.643.62AAAA非银金融200923国康K11.23-0.02101.041.954.884.86AAAAA非银金融251322浙商资产MTN0011.48-0.02100.441.662.772.75AA+AAA非银金融200923国新租赁MTN0011.48-0.02100.181.682.722.70AA+AAA非银金融1001624平安点创SCP0010.48-0.0299.915.053.743.69AAAA+非银金融400022陕西交通MTN002A1.33-0.02100.521.582.742.72AA+AAA城投502623川水电MTN0011.54-0.02100.591.372.882.86AAAA+公用事业201223国新租赁MTN0021.52-0.02100.261.412.722.70AA+AAA非银金融400923漳龙011.96-0.02104.470.833.002.99AA+AAA城投574723知投Y51.23-0.02101.261.552.822.80AAAAA城投101322兴城投资MTN002A1.58-0.02100.341.342.772.76AA+AAA城投601823电网CP0010.20-0.0299.8911.172.532.42AAA+AAA公用事业15985大幅折价个券成交跟踪 资料来源：Wind，国投证券研究中心 固定收益研究 本报告版权属于国投证券股份有限公司，各项声明请参见报告尾页。 3 表2：净价上涨个券成交跟踪 简称剩余期限(年)估值价格偏离(%)估值净价（元）估值收益率偏离(bp)估值收益率(%)前一日估值收益率(%)隐含评级主体评级行业成交规模（万元）21金地030.202.5081.85-1326.38112.76126.03BB+AAA房地产460622柳控012.002.47102.4778.675.174.38AA-AA+城投1833921金地MTN0030.162.3885.91-1467.36102.34117.01BB+AAA房地产624916金地020.152.3587.20-1530.1498.09113.40BB+AAA房地产407321金地010.102.1993.28-2148.6378.61100.10BB+AAA房地产808221晋文012.001.27101.2832.053.132.81AAAA城投405221滨投031.870.8799.45-50.977.317.82A+AA+城投60719不动060.570.5696.27-100.2111.0912.09AA-AAA社会服务139723滨投011.100.4299.22-40.697.257.65A+AA+城投30323淄金K12.920.40101.56-14.643.433.57AAAA+公用事业3011G17龙湖30.110.3898.64-300.1215.2118.21AA-AAA房地产149123陕西旅游MTN0022.810.38101.20-14.764.534.68AA-AA+社会服务2036PR西工011.800.3638.53-30.8211.0611.37BBBAA城投6721GLP070.240.3591.83-115.5241.0642.21A+AAA交通运输4723陕旅052.670.35105.65-14.694.885.02AA-AA+社会服务346323陕旅042.630.35105.83-14.674.875.02AA-AA+社会服务213523安顺014.650.3494.81-8.948.388.47A+AA城投576424乳山国运MTN0012.960.34101.26-12.735.525.65AA-AA城投780023乳山022.840.32100.51-12.745.795.92AA-AA城投262221北辰科技MTN0011.990.32101.64-17.254.915.08AA-AA+城投104023微山022.740.31103.46-12.755.105.23AA-AA城投207319金凤凰2.560.3161.08-21.696.306.52AA-AA城投24822张店011.600.31100.49-20.194.164.36AA(2)AA+城投300621阳光财险2.860.30102.41-11.453.603.71AA-AAA非银金融409621信地022.000.30101.55-16.023.343.50AAAA+房地产5425521衡建011.980.30102.40-16.143.233.39AA(2)AA城投504924晋能山西MTN0012.960.30101.23-10.874.024.13AA-AA+公用事业5000PR上栗011.990.2941.80-21.404.604.81AA-AA城投422623晋能山西MTN0012.840.29102.59-11.034.014.12AA-AA+公用事业201323临资022.460.28106.38-12.794.204.32AA-AA建筑装饰3541421滨投020.710.2899.11-40.397.207.61A+AA+城投3764PR西工022.010.2858.37-30.8711.0811.39BBBAA城投1220津投106.220.2892.45-5.185.705.75AAAAA城投188723望城经开MTN0012.400.27101.48-12.052.872.99AA(2)AA+城投20220津投066.100.2793.23-5.205.575.62AAAAA城投91521GLP050.160.2794.89-115.2537.0838.24A+AAA交通运输374622古蔺V11.800.26102.76-15.774.855.00AA(2)AA城投206321金地MTN0020.120.2688.24-0.15108.52108.53BB+AAA房地产17619龙湖010.070.2699.21-300.0814.3017.30AA-AAA房地产1023张店011.380.25103.09-19.694.124.32AA(2)AA+城投12415大幅正偏离个券成交跟踪 资料来源：Wind，国投证券研究中心 固定收益研究 本报告版权属于国投证券股份有限公司，各项声明请参见报告尾页。 4 表3：二永债成交跟踪 简称剩余期限(年)估值价格偏离(%)估值净价（元）估值收益率偏离(bp)估值收益率(%)前一日估值收益率(%)隐含评级主体评级银行分